So much for the power of positive thinking. It turns out you still have to defend to Premier League standards, otherwise you leak goals, lose matches and eventually get relegated, even if you did stun the world only three days earlier by winning the FA Cup.

Everyone could see Wigan Athletic were in danger, indeed since their calamitous home defeat to Swansea City a week ago the mood music has been intensifying like the score to a Hitchcock film, yet apparently the trapdoor to the Championship came as a complete surprise to their manager. "I never, ever expected us to get relegated," Roberto Martínez said after losing 4-1 at Arsenal confirmed the worst. "We had to win the last two games but I was very confident my team could do that. We are not a team that deserves to be in the bottom three."

Oh yes you are, Roberto, because the league table says so, and everyone knows what they say about league tables. Wigan have been in or around the bottom three for most of the season and, like leaving yourself in a situation where you have to win at the Emirates in order to be able to duke it out against Aston Villa on the last day, that is not the best way to go about staying in the top flight. The Wigan fans have known this for months, of course, in fact plenty of Wigan fans feared their side might actually win against Arsenal then blow up against Villa at home, but at least doing it this way puts an end to the misery and suspense and clears the last day for the weirdest ever FA Cup homecoming.

Strictly speaking, especially from a financial point of view, staying in the Premier League is supposed to be more important than winning the FA Cup, but with Wigan surviving so many relegation scrapes over the years, and so few teams outside the top four or five getting their hands on major silverware, this might be an exception.

If you had suggested to Wigan supporters earlier in the year that they would go down but take the FA Cup with them, many would have jumped at the bargain. Wigan were the envy of just about every club outside the Champions League elite at Wembley on Saturday, and after the thin gruel on which the club has subsisted for much of this season, a break in the Championship with Lancashire derbies against Bolton, Burnley, Blackpool and Blackburn is perhaps not the worst of outcomes.

As Arsène Wenger said on Tuesday, the Wigan team as currently constructed need have no fears in the Championship and would quite possibly bounce back at the first time of asking, though a lot depends on whether Martínez goes or stays. Wigan might have found it hard to hang on to players such as Callum McManaman, Shaun Maloney and Arouna Koné even had they stayed up, but they are used to selling on players each season, it is part of their business model. The future of the manager is far more important to the future of the club.

Put simply, if Wigan want to get back at the first or second attempt, they need to retain Martínez and keep the same system going. The way the Latics finished last season and the way they have performed in the FA Cup this year suggests they are doing quite a lot right, not least bringing the best out of players who might look ordinary anywhere else. Credit for that must go to Martínez, who must know that if he does jump ship, to Everton or anywhere else, it will take time to impose his style and demands on a new set of players, while a new set of fans would not be as patient or grateful as the DW crowd during the transition. Conversely, a new manager at Wigan, stripped of some of this season's best players, might find it difficult to recapture the highs of the Premier League era. It would be easy to imagine Wigan without Martínez looking, well, ordinary.

Martínez himself is the main enigma here. On the one hand the likeable and eloquent Wigan manager clearly deserves to be operating at a higher level – though one wonders how well his relegation denial routine went down among hard-nosed Everton supporters – and on the other he famously turned down Aston Villa a couple of years ago because he had unfinished business at Wigan. He has even more unfinished business now, and though few would begrudge him an onwards and upwards move, he has such a unique relationship with his chairman that it would not be the greatest surprise were he to stay to try to repair the damage, not to mention lead the Tics into Europe.

Dave Whelan is a less enigmatic figure. Think traditional Victorian mill owner. Absolute genius when it comes to making money, a bit less enthusiastic when it comes to spending it. While it is true that Wigan would have made more money by remaining in the top flight, it is also the case that they would have had to retain players and find new ones on the sort of stratospheric salaries that make old-fashioned businessmen wince. In his wildest dreams Whelan could never have expected eight seasons in the Premier League. No one could. But parachute payments and the chance to prune the wage bill every now and again probably do not strike Whelan as such a bad idea either.

Wigan were a well-run club in the Premier League and will continue to be a well-run club in the Championship. They might be back next year, they might be away some time, but beyond a certain level of spending to remain competitive, they will not be throwing silly money around to get promoted.

Perhaps the most satisfying aspect of a highly eventful eight seasons capped by a truly remarkable FA Cup success was that silly money was not involved. Yes, Whelan is a multimillionaire, and without his backing none of this would have happened, but football runs on money these days, you don't get anywhere on dreams alone. Wigan have not broken any transfer records or been threatened with bankruptcy. They have survived and flourished in the shadow of absolutely huge spending by Manchester City, Manchester United, Chelsea and Liverpool – all of whom they have beaten – and they have brought through or showcased an impressive list of players.

Wigan might still be synonymous with rugby league rather than football, but among those who owe it thanks are Leighton Baines, Jimmy Bullard, Arjan de Zeeuw, Jason Roberts, Antonio Valencia, Victor Moses, Paul Scharner, Mohamed Diamé, Charles N'Zogbia and Hugo Rodallega, not to mention Emmerson Boyce, Ben Watson and the Cup final crop of new discoveries.

All this, and northern soul too. Where else in the world would you get Do I Love You (Indeed I Do) by Frank Wilson at half-time? If the DJ at the DW is as good on Sunday as he (or she) has been in the past, the party proceedings against Villa will undoubtedly close with what the Wigan Casino audience knew as the three before eight. The all-night sessions would end at 8am, and every week the same time-related tunes would be played in the same order, as a reminder to people having a great time that nothing lasts forever, but you can always look forward to doing it again. If you can name the three records, in the right order, you are probably a Wiganer, a dancer or a musicologist. For everyone else, they are, or were: Long After Tonight Is All Over, by Jimmy Radcliffe; Tobi Legend's Time Will Pass You By, then I'm On My Way, by Dean Parrish. As Martínez would undoubtedly confirm, Wigan has a certain style.